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oX_MaxMin( ) Function

Component

Resolution - Exotic Options

 

 

Function Definition

oX_MaxMin(CallPut, MaxMin, ValueDate, ExpiryDate, SpotOne, SpotTwo, Strike, RiskFree, CarryOne, CarryTwo, VolatilityOne, VolatilityTwo, Correlation, OutputFlag)

Calculates the option value and Greeks for an option on the maximum or minimum of two assets

 

 

Function Parameters

 

Parameters

Description

 

Parameter Type

 

Restrictions

.

CallPut

 

Option type.

 

Enumerated Constant

 

1 - Call
2 - Put

MaxMin

 

Option on the maximum or the minimum of the two assets?

 

Enumerated Constant

 

1 - Maximum
2 - Minimum

ValueDate

 

Valuation date.

 

Date

 

ExpiryDate

 

Expiry date of the option.

 

Date

 

SpotOne

 

Current market price of the first underlying asset.

 

Double

 

SpotOne > 0

SpotTwo

 

Current market price of the second underlying asset.

 

Double

 

Strike

 

Strike price of the option.

 

Double

 

Strike > 0

RiskFree

 

Risk free interest rate, expressed as an annually compounded Actual 365 rate.

 

Double

 

CarryOne

 

Net cost of carry of the first underlying asset, expressed as an annually compounded Actual 365 rate.

 

Double

 

CarryTwo

 

Net cost of carry of the second underlying asset, expressed as an annually compounded Actual 365 rate.

 

Double

 

VolatilityOne

 

Annualized volatility of the first underlying asset, expressed as a decimal.

 

Double

 

VolatilityTwo

 

Annualized volatility of the second underlying asset, expressed as a decimal.

 

Double

 

Correlation

 

Correlation between the prices of the first and second assets.

 

Double

 

Correlation > -1
Correlation < 1

OutputFlag

 

Indicates which result, or set of results, will be displayed in the worksheet. When returning more than one value, the function must be entered as an array function.

 

Enumerated Constant

 

0 - Value & Greeks
1 - Value
2 - Delta (Asset One)
3 - Delta (Asset Two)
4 - Gamma (Asset One)
5 - Gamma (Asset Two)
6 - Theta
7 - Vega (Asset One)
8 - Vega (Asset Two)
9 - Rho
10 - Phi (Asset One)
11 - Phi (Asset Two)

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